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What Does Monetary Policy Do to Long-Term Interest Rates at the Zero Lower Bound?

Wright, Jonathan H. - 2011

The federal funds rate has been stuck at the zero bound for over two years and the Fed has turned to unconventional monetary policies, such as large scale asset purchases to provide stimulus to the economy. This paper uses a structural VAR with daily data to identify the effects of monetary...

Persistent link: https://www.econbiz.de/10013123639

Negative Nominal Interest Rates : Three Ways to Overcome the Zero Lower Bound

Buiter, Willem H. - 2010

The paper considers three methods for eliminating the zero lower bound on nominal interest rates and thus for restoring symmetry to domain over which the central bank can vary its policy rate. They are: (1) abolishing currency (which would also be a useful crime-fighting measure); (2) paying...

Persistent link: https://www.econbiz.de/10013152378

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Wu, Jing Cynthia - 2014

This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be...

Persistent link: https://www.econbiz.de/10013054032

Betting the House

Jordà, Òscar - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10013039761

Negative Interest Rate Policy and the Yield Curve

Wu, Jing Cynthia; Xia, Fan Dora - 2021

We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the NIRP, we introduce two policy indicators, which summarize the immediate and longer-horizon future monetary policy...

Persistent link: https://www.econbiz.de/10013232446

Escaping the Great Recession

Bianchi, Francesco - 2014

We show that policy uncertainty about how the rising public debt will be stabilized accounts for the lack of deflation in the US economy at the zero lower bound. We first estimate a Markov-switching VAR to highlight that a zero-lower-bound regime captures most of the comovements during the Great...

Persistent link: https://www.econbiz.de/10013052104

Global Effective Lower Bound and Unconventional Monetary Policy

Wu, Jing Cynthia - 2018

In a standard open-economy New Keynesian model, the effective lower bound causes anomalies: output and terms of trade respond to a supply shock in the opposite direction compared to normal times. We introduce a tractable framework to accommodate for unconventional monetary policy. In our model,...

Persistent link: https://www.econbiz.de/10012916610

Are Supply Shocks Contractionary at the ZLB? Evidence from Utilization-Adjusted TFP Data

Garin, Julio - 2016

-adjusted total factor productivity series, which we take as a measure of exogenous productivity. In contrast to the predictions of … the model, positive productivity shocks are estimated to be more expansionary at the ZLB compared to normal times. However …, in line with the predictions of the basic model, positive productivity shocks have a stronger negative effect on …

Persistent link: https://www.econbiz.de/10012989726

Towards a Common European Monetary Union Risk Free Rate

Mayordomo, Sergio - 2009

A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the...

Persistent link: https://www.econbiz.de/10013156250

How Has the Euro Changed the Monetary Transmission?

Boivin, Jean; Mojon, Benoit; Giannoni, Marc P. - 2021

This paper characterizes the transmission mechanism of monetary shocks across countries of the euro area, documents how this mechanism has changed with the introduction of the euro, and explores some potential explanations. The factor-augmented VAR (FAVAR) framework used is sufficiently rich to...

Persistent link: https://www.econbiz.de/10013233890

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